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From: Chris on 25 Oct 2009 07:06
Dear All,

I want to estimate a simple linear regression (get parameter and error estimates) that includes a dummy variable (say Dv) taking values of 0 and 1, of the following form:

y=constant+a*x+f*Dv+errors

Note that the variable Dv is predetermined depending on the time that a break occurs (ToB)
e.g. Dv(1:ToB,1)=0;
Dv(ToB:length(x),1)=1;

where say ToB=100 and length(x)=800


The question is which function should I use to get the OLS parameter estimates (constant, s,f,errors)?

Thank you very much for your time and help!
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